Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0053 |
| Annualized Std Dev | 0.1713 |
| Annualized Sharpe (Rf=0%) | -0.0307 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4931.0000 |
| NAs | 1.0000 |
| Minimum | -0.1399 |
| Quartile 1 | -0.0036 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0041 |
| Maximum | 0.2312 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0108 |
| Skewness | 1.3715 |
| Kurtosis | 79.8137 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0077 |
| Gain Deviation | 0.0089 |
| Loss Deviation | 0.0093 |
| Downside Deviation (MAR=210%) | 0.0124 |
| Downside Deviation (Rf=0%) | 0.0076 |
| Downside Deviation (0%) | 0.0076 |
| Maximum Drawdown | 0.5631 |
| Historical VaR (95%) | -0.0131 |
| Historical ES (95%) | -0.0243 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | NA |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-01-03 | 2008-10-10 | NA | -0.5631 | 3577 | 446 | NA |
| 2001-08-01 | 2004-05-10 | 2005-06-22 | -0.1717 | 971 | 690 | 281 |
| 2006-03-09 | 2006-06-27 | 2006-12-29 | -0.1204 | 205 | 77 | 128 |
| 2005-09-14 | 2005-11-14 | 2005-12-23 | -0.0708 | 72 | 44 | 28 |
| 2006-01-20 | 2006-01-30 | 2006-02-10 | -0.0311 | 16 | 7 | 9 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2001 | NA | NA | NA | NA | NA | NA | -0.9 | -0.6 | 1.3 | 0 | -0.7 | 0.5 | -0.4 |
| 2002 | 0 | -0.1 | -0.6 | 1.4 | 0.6 | 0.1 | 0.2 | 0.3 | -1 | 0.7 | 0.9 | -0.4 | 2 |
| 2003 | -0.6 | 1.1 | 0.7 | 0.1 | 0.3 | -0.1 | -2 | 0.2 | 0.1 | 0.5 | -0.7 | 0.3 | -0.1 |
| 2004 | 0.6 | 1 | -0.6 | 0.3 | 0.5 | 0.6 | 0.9 | -0.1 | -0.1 | 0.4 | 0.4 | 1 | 5.1 |
| 2005 | -0.1 | 0.2 | 0.8 | 0.3 | 0.6 | 0.1 | -1.1 | 0.6 | -0.5 | 0.3 | 0.5 | 0.1 | 1.9 |
| 2006 | 0 | 1.1 | 0.4 | 0.8 | 0.4 | 0 | 1.9 | 1.4 | 1.2 | -0.4 | 0.2 | 2 | 9.3 |
| 2007 | 0.4 | 0.3 | 0.1 | 0 | -0.8 | -0.2 | 0.1 | -0.9 | 0.2 | 0 | -0.1 | -0.9 | -1.7 |
| 2008 | -0.2 | -1.6 | -0.8 | 0.6 | -0.3 | 0.5 | 0 | -0.2 | 0.5 | 0 | 0.3 | 1.1 | -0.1 |
| 2009 | -1.3 | 0 | 1.7 | -0.4 | 0.7 | 1.7 | -0.4 | 0.5 | 1.2 | -0.8 | 0.5 | -0.5 | 3 |
| 2010 | 0 | -0.1 | 1.7 | -0.3 | 0.4 | 0.5 | 0 | -0.7 | -0.1 | 0.1 | -1.5 | 1.7 | 1.8 |
| 2011 | 0.1 | 1.6 | 1.6 | 1.3 | 0.4 | 0.5 | 1.8 | 1.1 | -0.4 | 0.1 | -0.4 | 0.2 | 8.2 |
| 2012 | 0.6 | 0.3 | 0.5 | 1.1 | 1.2 | 0.1 | -0.2 | 0 | 0 | 0.3 | 0 | -0.8 | 3.1 |
| 2013 | -0.7 | 0.4 | 0.3 | 0.3 | -1.2 | -0.1 | -0.4 | 0.3 | 0.1 | -1.6 | 0.1 | -0.2 | -2.6 |
| 2014 | 0.7 | 0 | -0.5 | 0.5 | -0.1 | -0.4 | 0.4 | 0.1 | 0.3 | -0.1 | 0.2 | 0 | 1.1 |
| 2015 | 0.7 | 0.5 | 0.7 | 0.4 | 0.4 | 0.2 | 0.3 | 0.4 | -0.1 | 0.4 | 0.2 | 0.8 | 5.1 |
| 2016 | 0.5 | -0.3 | 0.6 | -0.1 | 1.4 | 0.4 | 0.2 | -0.1 | 0.3 | 0.1 | -0.6 | 0.9 | 3.3 |
| 2017 | -0.1 | -0.8 | 0.2 | 0.5 | 0.1 | 1.1 | 0.5 | 0.5 | -0.5 | 0 | 0.1 | -0.1 | 1.5 |
| 2018 | 0.1 | -0.2 | 0.4 | 0.5 | -1.2 | -0.4 | 0.7 | -1.1 | -0.2 | -0.5 | -0.1 | 0.7 | -1.4 |
| 2019 | -0.3 | 0.2 | 1.2 | 0.2 | 0.7 | 1 | -0.4 | 0 | 0.9 | 0.4 | -0.5 | -0.4 | 3 |
| 2020 | 0 | -2.7 | -3.5 | 0.2 | 0.5 | -0.2 | 0.6 | 0.2 | 0.3 | -0.3 | -0.2 | 0.1 | -4.9 |
| 2021 | 0.6 | -0.1 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.5 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
